| 支付存贮费用的农产品期权定价模型研究 |
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| 引用本文： | 裘春晗.支付存贮费用的农产品期权定价模型研究[J].哈尔滨商业大学学报(自然科学版),2009,25(4):504-507,512. |
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| 作者姓名： | 裘春晗 |
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| 作者单位： | 浙江工商大学,统计与数学学院,杭州,310018 |
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| 基金项目： | 浙江省教育厅科研项目 |
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| 摘 要： | 讨论一类支付存贮费用的农产品期权定价问题,利用对冲原理和公式导出了该种情形下的Black-Scholes方程,并结合成品订单合同的实际情况得到一个含边界和终端条件的挡板期权模型;利用极值原理分析了期权价格与各参量间的相关性,最后给出了数值解结果.
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| 关 键 词： | 农产品 挡板期权 定价模型 |
A kind of agricultural commodity option price model with storage cost |
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| QIU Chun-han.A kind of agricultural commodity option price model with storage cost[J].Journal of Harbin University of Commerce :Natural Sciences Edition,2009,25(4):504-507,512. |
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| Authors: | QIU Chun-han |
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| Institution: | School of Statistics and Mathematics;Zhejiang University of Industry and Commercial;Hangzhou 310018;China |
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| Abstract: | This paper investigates a kind of agricultural commodity option pricing model with storage cost.The kind of Black-Scholes equation is built by hedging principle and formula,combining with the final and boundary conditions a barrier option model is obtained according to a kind of sales contract.And uses the maximum principle to analyze the relations between option price and each parameter.And the numerical results are also given. |
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| Keywords: | agricultural commodity barrier option price model |
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